KAFKOVÁ, Silvie and Lenka KŘIVÁNKOVÁ. The Vasicek Model and Estimation of its Parameters. In Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers. Brno: Masaryk University, 2012. p. 24-29, 6 pp. ISBN 978-80-210-5778-4.
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Basic information
Original name The Vasicek Model and Estimation of its Parameters
Authors KAFKOVÁ, Silvie (203 Czech Republic, guarantor, belonging to the institution) and Lenka KŘIVÁNKOVÁ (203 Czech Republic, belonging to the institution).
Edition Brno, Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers, p. 24-29, 6 pp. 2012.
Publisher Masaryk University
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 10101 Pure mathematics
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
RIV identification code RIV/00216224:14310/12:00059546
Organization unit Faculty of Science
ISBN 978-80-210-5778-4
Keywords in English The Vasicek model; interest rate; maximum likelihood method
Tags AKR, rivok
Changed by Changed by: Mgr. Silvie Zlatošová, Ph.D., učo 175424. Changed: 2/4/2013 16:12.
Abstract
This paper deals with a mathematical model of short-term interest rate, the Vasicek model. First we recall the notions of zero cupon bond and instantaneous rate, then we present the model and derivation of conditional distribution of interest rate. The final part contains an estimation of the Vasicek model parameters and describes the estimation of parameters on real data.
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